A cross order is an order type that has both a buy and a sell component. In a cross order, the buyer and seller have agreed to a price and a quantity to be traded. Although a cross order is a pre-negotiated trade, it must nevertheless execute on the public markets, in accordance with prevailing marketplace regulations. In a situation where the buyer's and the seller's shares execute in whole cleanly against one another, this is the ideal situation and is referred to as a “clean cross.” However, when a cross order does not execute cleanly because it interacts with orders on the market center's order book, this is referred to as a “cross with interaction.” In a “cross with interaction,” the side of the cross order that does not interact with the marketplace is left partially unexecuted. In prior systems, the unmatched shares of a cross order are automatically canceled, and an order for the unmatched portion of the cross order needs to be generated and resubmitted.
Typically, the broker trying to execute a cross order with such prior systems is responsible for determining what portion of the cross order has not executed and is responsible for manually submitting a new order or orders for the unfilled balance. The broker is also responsible in such situations for tracking the unfilled balance of the cross order and associating the separate trades with it until the original cross order terms are fulfilled.
Accordingly, there is a need for a cross order where a limit-priced order is automatically generated and posted to the market center order book for any unfilled balance of a cross order when the cross order interacts with the market. There is also a need for the subsequent execution of such generated limit-priced orders to be automatically associated with the original cross order.